Bond market modelling using a trinomial tree
In this paper a generalization of the discrete-time Ho–Lee model to the trinomial case is considered. The necessary and sufficient conditions for such a bond model to be arbitrage-free and path independent are established.
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2004-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/32096 |
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